Uncheck "Deploy the Latest version of the .NET Compact Framework (including Service Packs)".

Build and deploy the project on your WinCE device.

Download and Install .NET Compact Framework directly to the FlashDisk of the device from here.

Go to My Device > Program Files > vcsharp_video_playback_demo and run the application vcsharp_video_playback_demo.exe.

Following GUI will open with different controls (Double click on video to toggle between full screen mode and normal mode).

Note: Microsoft does not provide a managed API for DirectShow.The vcsharp_video_plyback_demo uses DirectShow.net library functions from the 3rd party DirectShowLib-2005.dll.Documentation related to this library and its licence is given here.